"They were yelling 'Black Knights,'" Milwaukee Police Lt. Milan Stojkovic said.
That's apparently what the group calls itself, and it may have been involved in two to three other vandalism incidents in the past couple years.
Windows were smashed at US Bank, Whole Foods, Qdoba and Bruegger's about 11 p.m. Friday.
Police were investigating whether the vandalism may have been related to a protest earlier Friday evening by a group of self-titled "anarchists" in the Riverwest area.
No arrests had been made. Some acts were caught on business video surveillance.